Quotation Gourdel, Regis, Sydow, Matthias, Maqui, Eduardo. 2019. Investment funds under stress.




This paper presents a model for stress testing investment funds, based on a broad worldwide sample of primary open-end funds. First, we employ a Bayesian technique to project the impact of macro-financial scenarios on country-level portfolio flows worldwide that are constructed from fund-level asset holdings. Second, from these projected country-level flows, we model the scenarios’ repercussions on individual funds along a three year horizon. The model is applied to exogenous shocks from the covid crisis and its projections, as well as to the financial crisis scenario from the EBA exercise. We use historical information on fund liquidations to estimate a threshold for a drop in AUM that signals a high likelihood of a forthcoming liquidation. Such empirical thresholds can be useful for the implementation of prudential policy tools, such as redemption gates.


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Status of publication Published
Affiliation External
Type of publication Working/discussion paper, preprint
Language English
Title Investment funds under stress
Year 2019
URL https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2323~e3e995fe5c.en.pdf
JEL F21, G15, G17, G23, G28


Gourdel, Regis (Details)
Maqui, Eduardo (ECB, Germany)
Sydow, Matthias (ECB, Germany)
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